I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces … time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …

nominal government bond yields and the stock price dynamics of six major economies from 1988 until 2019. We calibrate the …-year government bond yields allows one to generate articifical time series of bond yields and price-consumption ratios that follow the …

corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …